An Extension of the d-Variate FGM Copula with Application: Accepted February 2026

We introduce an extended d-variate Farlie–Gumbel–Morgenstern (FGM) copula that incorporates additional parameters based on Legendre polynomials to enhance the representation of multivariate dependence structures. Within an i.i.d. framework, we derive closed-form estimators for these parameters and establish their unbiasedness, consistency, and asymptotic normality. A simulation study illustrates the finite-sample performance of the estimators. The model is applied to the IMS Bearing Dataset, previously studied by Ota and Kimura (2021) through a d-variate FGM copula and by Longla and Hamadou (2025) using an extended bivariate FGM copula. Our analysis shows that the classical d-variate FGM copula does not adequately represent the dependence in this dataset. Based on estimation results and model selection criteria, we propose a reduced version of the extended model as a more appropriate copula specification for the IMS Bearing Dataset.

Authors

Institutions

Publication Details

Journal
Portuguese National Funding Agency for Science, Research and Technology (RCAAP Project by FCT)
Published
2026-02-03
Primary Topic
Financial Risk and Volatility Modeling
Type
article
Field-Weighted Citation Impact
0.00
Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

An Extension of the d-Variate FGM Copula with Application: Accepted February 2026

Mous-Abou Hamadou, Martial Longla, MousAbou Hamadou
Portuguese National Funding Agency for Science, Research and Technology (RCAAP Project by FCT)
Financial Risk and Volatility Modeling
article

An Extension of the d-Variate FGM Copula with Application: Accepted February 2026

Mous-Abou Hamadou, Martial Longla, MousAbou Hamadou
article en

Abstract

We introduce an extended d-variate Farlie–Gumbel–Morgenstern (FGM) copula that incorporates additional parameters based on Legendre polynomials to enhance the representation of multivariate dependence structures. Within an i.i.d. framework, we derive closed-form estimators for these parameters and establish their unbiasedness, consistency, and asymptotic normality. A simulation study illustrates the finite-sample performance of the estimators. The model is applied to the IMS Bearing Dataset, previously studied by Ota and Kimura (2021) through a d-variate FGM copula and by Longla and Hamadou (2025) using an extended bivariate FGM copula. Our analysis shows that the classical d-variate FGM copula does not adequately represent the dependence in this dataset. Based on estimation results and model selection criteria, we propose a reduced version of the extended model as a more appropriate copula specification for the IMS Bearing Dataset.

Portuguese National Funding Agency for Science, Research and Technology (RCAAP Project by FCT)
University of Mississippi (US), Quinnipiac University (US)
Openalex Percentile: Top 66%
Financial Risk and Volatility Modeling
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.

An Extension of the d-Variate FGM Copula with Application: Accepted February 2026 — Mous-Abou Hamadou, Martial Longla, et al. · Portuguese National Funding Agency for Science, Research and Technology (RCAAP Project by FCT) (2026) | TGRS Research Map | TGRS